MA 4040: Probability Theory

Dr. Sameen Naqvi

Department of Mathematics, IIT Hyderabad
Email id: sameen@math.iith.ac.in

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 Algebra, F0

I Let Ω be the sample space and let F0 be a collection of

subsets of Ω. Then, F0 is said to be an algebra (or a field) if

I Ω ∈ F0 ,

I A ∈ F0 =⇒ AC ∈ F0 , and

I A ∈ F0 and B ∈ F0 =⇒ A ∪ B ∈ F0 .

I Exercise: Let A1 , A2 , . . . , An ∈ F0 . Show that

n
[ n
\
Ai ∈ F0 and Ai ∈ F0
i=1 i=1

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 Algebra, F0

I However, a natural question that arises at this point is “Is the

structure of an algebra enough to study events of typical
interest?”

I Example: Toss a coin repeatedly until the first heads shows.

Here,
Ω = {H, TH, TTH, . . .}.
Event A: Is the total # of tosses even?

A = {TH, TTTH, . . .}

This event cannot be included in the algebra because it entails

a countably infinite union.

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 Sigma Algebra, F

I A collection F of subsets of Ω is said to be a σ-algebra (or a

σ-field) if

I Ω ∈ F;

I A ∈ F =⇒ AC ∈ F

I If A1 , A2 , A3 , . . . is a countable collection of subsets in F, then

S∞
i=1 Ai ∈ F

I Exercise:
T∞
(i) If {Ai : i ≥ 1} are subsets in F, then i=1 Ai ∈ F.

(ii) A σ-algebra is also an algebra (converse not true).

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 Sigma Algebra, F

Proof:
Sn
Let An+1 = An+2 = . . . = φ so that i=1 Ai = ∪∞
i=1 Ai ;

Tn T∞
Let An+1 = An+2 = . . . = Ω so that i=1 Ai = i=1 Ai .

I Examples:
I {φ, Ω};

I {φ, A, Ac , Ω}

I Power set of Ω, denoted by 2Ω .

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 Measure

I F-measurable set: Every member of the σ-field F.

I Measurable space: the 2-tuple (Ω, F).

I Measure: Let (Ω, F) be a measurable space. A measure on

(Ω, F) is a function µ : F → [0, ∞] such that:

(i) µ(φ) = 0.

(ii) If A1 , A2 , . . . is a countable collection of disjoint F-measurable

sets, then
∞ ∞
!
[ X
µ Ai = µ(Ai ).
i=1 i=1

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 Measure

I Measure space: the triplet (Ω, F, µ).

I If µ(Ω) < ∞, µ is called a finite measure.

I If µ(Ω) = ∞, µ is called an infinite measure.

I If µ(Ω) = 1, µ is called a probability measure.

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 Probability Measure

I A probability measure P on (Ω, F) is a function

P : F → [0, 1] satisfying the following three axioms:

(i) P(φ) = 0.
(ii) P(Ω) = 1.
(iii) If {Ai : i ≥ 1} is a sequence of disjoint sets in F, then
∞ ∞
!
[ X
P Ai = P (Ai ) .
i=1 1=1

I The triplet (Ω, F, P) is called a probability space.

I F-measurable sets are called events.

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Thank you for listening!

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